Tsinghua University - School of Economics & Management
in Total Papers Downloads
in Total Papers Citations
Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models
Technical analysis, trading rules, asset allocation, predictability, learning
Momentum, crashes, downside risk, stop-loss orders
Stochastic volatility, variance term structure, arbitrage-free model, volatility derivatives, VIX futures
Long-run Risk, Equity Risk Premium, Predictability, Variance Risk Premium
VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure
financial crisis, Once-in-a-Century event, drawndown probability
Technical analysis, trend-following, asymmetric information
Volatility Trading, Asset Allocation, Long-run Volatility
Warrant bubble, hedging motivation, rational speculation, put-call parity
Warrant bubble, short-selling and margin constraints, put-call parity
Investment Theory, CAPM, APT, Pricing Theories, Risk Measurement and Management, Financial Markets
VIX, VIX futures, square root process
Portfolio Choice, Recursive Utility, Martingale Approach, Stochastic Volatility
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